Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0086
Annualized Std Dev 0.0808
Annualized Sharpe (Rf=0%) -0.1067

Row

Daily Return Statistics

Close
Observations 2982.0000
NAs 1.0000
Minimum -0.0519
Quartile 1 -0.0029
Median 0.0003
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0031
Maximum 0.0242
SE Mean 0.0001
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0002
Variance 0.0000
Stdev 0.0051
Skewness -0.7006
Kurtosis 5.4465

Downside Risk

Close
Semi Deviation 0.0038
Gain Deviation 0.0030
Loss Deviation 0.0038
Downside Deviation (MAR=210%) 0.0098
Downside Deviation (Rf=0%) 0.0038
Downside Deviation (0%) 0.0038
Maximum Drawdown 0.3164
Historical VaR (95%) -0.0082
Historical ES (95%) -0.0121
Modified VaR (95%) -0.0088
Modified ES (95%) -0.0172
From Trough To Depth Length To Trough Recovery
2011-05-02 2020-03-23 NA -0.3164 2483 2232 NA
2010-04-16 2010-06-07 2010-09-21 -0.0720 110 36 74
2010-11-05 2011-01-28 2011-04-28 -0.0582 120 58 62
2010-01-12 2010-02-05 2010-04-09 -0.0432 61 18 43
2009-11-27 2009-12-21 2010-01-11 -0.0325 30 17 13

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2009 NA NA NA NA 0.2 0.8 0.4 -0.6 -0.8 -0.9 1 0.4 0.5
2010 0.5 0.2 0.4 -0.1 -1 0.2 0 1.1 0.6 0.2 1 0.3 3.4
2011 1 0.1 0.6 0.3 -0.1 0.4 0.1 -0.1 -1 -1.5 0.3 0.1 0.2
2012 0.7 0.2 0.3 0.1 -0.1 2 0 0.6 0.2 1.2 -0.1 0.2 5.5
2013 0.5 -0.3 -0.2 -0.4 -0.3 0.4 -0.4 0.3 0.4 -0.9 0.5 0.6 0.3
2014 0.1 0.6 0.1 0.4 -0.2 0 -0.4 -1.3 -0.1 -0.9 -0.2 -0.4 -2.4
2015 -0.5 -0.1 0.4 -0.6 -0.7 -0.2 -0.2 -0.2 -0.5 0.5 0.5 0.5 -1.1
2016 0.3 1.1 0 0.3 -0.1 0.8 -0.5 0.2 0.3 -0.4 -0.1 -0.3 1.6
2017 0.1 -0.1 -0.4 0.2 0.2 0.1 -0.3 0.1 0.1 -0.2 0.2 0.2 0.3
2018 0.1 -0.4 0.1 -0.5 -0.1 0.3 -0.6 0.4 0.2 1.1 -0.2 0.2 0.6
2019 -0.3 -0.3 0.7 0 0.2 0 -0.8 0.1 -0.4 0.4 0.2 0.2 0
2020 -0.1 -0.8 -1.6 -1.3 0.4 0.3 -0.4 0.4 0.4 -0.2 0.7 0 -2.2
2021 0.1 0.6 0.4 NA NA NA NA NA NA NA NA NA 1

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Price Chart

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Rolling Performance Chart

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Snail Trail Chart